error correction model

[yesun park]

• Hello. I am trying to do error correction model with rolling regression.
  here. I want to change the first step as yt= bo + xt (no beta1, with rolling regression way t=1~40, 2~41, ..... 128~167)Basically, the b0 is the average of yt-xt (t=1~40, 2~41, ... 128~167).
• Can you please give me some advice on this issue?
  Thank you in advance!
  
  -------------------------------------------------------------------------------------------------------------------------------------------------------
  1. first step
  forval i=1/167{
  
  reg y x if t<`=39+`i'' & t>`=`i'-1'
  
  predict uhat`i' if t<`=39+`i'' & t>`=`i'-1', res
  
  }
  
  
  
  2. second step
  
  forval i=1/167{
  
  reg D.y L.uhat`i' D.x if t<`=39+`i'' & t>`=`i'-1'
  
  ereturn list
  
  mat coef`i'=e(b)
  
  }
  
  
  
  
  mat comb = (coef1 \ coef2 \ coef3 \ coef4 \ coef5 \ coef6 \ coef7 \ coef8 \ coef9 \ coef10 \ coef11 \ coef12 \ coef13 \ coef14 \ coef15 \ coef16 \ coef17 \ coef18 \ coef19 \ coef20 \ coef21 \ coef22 \ coef23 \ coef24 \ coef25 \ coef26 \ coef27 \ coef28 \ coef29 \ coef30 \ coef31 \ coef32 \ coef33 \ coef34 \ coef35 \ coef36 \ coef37 \ coef38 \ coef39 \ coef40 \ coef41 \ coef42 \ coef43 \ coef44 \ coef45 \ coef46 \ coef47 \ coef48 \ coef49 \ coef50 \ coef51 \ coef52 \ coef53 \ coef54 \ coef55 \ coef56 \ coef57 \ coef58 \ coef59 \ coef60 \ coef61 \ coef62 \ coef63 \ coef64 \ coef65 \ coef66 \ coef67 \ coef68 \ coef69 \ coef70 \ coef71 \ coef72 \ coef73 \ coef74 \ coef75 \ coef76 \ coef77 \ coef78 \ coef79 \ coef80 \ coef81 \ coef82 \ coef83 \ coef84 \ coef85 \ coef86 \ coef87 \ coef88 \ coef89 \ coef90 \ coef91 \ coef92 \ coef93 \ coef94 \ coef95 \ coef96 \ coef97 \ coef98 \ coef99 \ coef100 \ coef101 \ coef102 \ coef103 \ coef104 \ coef105 \ coef106 \ coef107 \ coef108 \ coef109 \ coef110 \ coef111 \ coef112 \ coef113 \ coef114 \ coef115 \ coef116 \ coef117 \ coef118 \ coef119 \ coef120 \ coef121 \ coef122 \ coef123 \ coef124 \ coef125 \ coef126 \ coef127 \ coef128 \ coef129)
  
  mat list comb
  
  svmat comb
  
  
  
  mat list comb
  
  svmat comb

[Jared Greathouse]

I don't understand. There's no data to work with and no context, why do you use the loops you use in this context? Please show your example dataset using dataex and the exact code you used using the code delimiters

[yesun park]

Hello. Thank you for your feedback.
I am trying to replicate the relative purchasing power parity part from "Exchange rate prediction redux by Cheung(2019)" (please refer to the attached relative purchasing power parity and estimation)

I have also attached stata data file and I am sorry that I cannot find code delimiters that you mentioned... how can I find it?
Thank you in advance.